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伦敦证券交易所隔夜与日间股票收益：“大爆炸”改革与1987年股灾的影响AI 解读

We explore the time series properties of stock returns on the London Stock Exchange around the 1986 market restructuring (Big Bang) and the 1987 stock-market crash using a modified generalized autoregressive conditional heteroscedasticity model. Using this general dynamic model, which allows (a) intradaily returns to have different impacts and persistence on stock-return volatility, (b) return effects on volatility to be asymmetric, and (c) intradaily returns to follow…

因子 ARCH 协方差结构下的资产定价AI 解读

In this paper we suggest using the FACTOR-ARCH model as a parsimonious structure for the conditional covariance matrix of asset excess returns. This structure allows us to study the dynamic relationship between asset risk premia and volatilities in a multivariate system. One and two FACTOR-ARCH models are succussfully applied to pricing of Treasury bills. The results show stability over time, pass a variety of diagnostic tests, and compare favorably with previous empirical…